Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Tripod Technology Corporation backtest
10 trend-following strategies were compared on the full daily history of Tripod Technology Corporation. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.7%, MDD -53.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.9%, drawdown -82.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.3%, MDD -53.1%, Sharpe 0.69, 63% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 29.2%p (CAGR 17.7%, MDD -53.0%, exposure 64%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=20, slow=88 |
18.3% | -53.1% | 0.69 | 0.34 | 55.8x | 68 | 63% |
| EMA 크로스오버 fast=22, slow=97 |
17.7% | -53.0% | 0.67 | 0.33 | 49.7x | 62 | 64% |
| Donchian 채널 돌파 entryN=12, exitN=55 |
17.5% | -66.9% | 0.64 | 0.26 | 47.2x | 68 | 82% |
| Supertrend period=11, mult=4.7 |
11.7% | -52.8% | 0.51 | 0.22 | 14.0x | 68 | 66% |
| ROC 모멘텀 n=113, threshold=-0.05 |
11.4% | -60.2% | 0.50 | 0.19 | 13.3x | 194 | 71% |
| ADX / DI 방향성 period=37, threshold=11 |
9.7% | -60.6% | 0.47 | 0.16 | 9.2x | 164 | 54% |
| 볼린저 밴드 돌파 n=51, k=1.2 |
6.7% | -47.9% | 0.38 | 0.14 | 4.7x | 146 | 48% |
| Parabolic SAR step=0.005, maxStep=0.36 |
4.5% | -81.4% | 0.30 | 0.06 | 2.9x | 174 | 57% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=17, mult=1.7 |
3.8% | -69.6% | 0.27 | 0.05 | 2.4x | 158 | 47% |
| MACD fast=17, slow=52, signal=21 |
0.7% | -83.3% | 0.17 | 0.01 | 1.2x | 240 | 51% |
| Buy and hold | 15.9% | -82.3% | 0.57 | 0.19 | 34.3x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 20-day average price crosses above the 88-day average
- Sell — Sell (to cash) when the 20-day average falls below the 88-day average